Mark Lanegan's Christmas album as a few classics, but also that amazing finale Burn the Flames, which I'm pretty sure shouldn't count as a Christmas song...
Whole album:
Also, well, there was that Zorn Christmas album that was ok, especially for a Patton fanboy like myself. Videos were taken off of YT, but there's a clip here:
m.facebook.com/watch/?v=959358444452452&_rdr
(copy & paste in browser, HF doesn't like the FB link)